CSR, Media and Stock Illiquidity: Evidence from Chinese Listed Financial Firms

Junru Zhang and Zhaoyong Zhang

Finance Research Letters, 2021, vol. 41, issue C

Abstract: This paper examines the dynamic relationship among stock illiquidity, corporate social responsibility (CSR) news release and media tone. Using news from 93 news publishers, we investigate the circumstance in which public news release is related to illiquidity by employing the EGARCH-M and the FIGARCH models. The results indicate that CSR news release has a negative and significant impact on stock illiquidity, and media tone effect is asymmetric. Both CSR news and other firm specific general news reduce the volatility persistence and long memory property of stock illiquidity. The sources of news releases matter in impacting stock illiquidity.

Keywords: CSR; News release; Media tone; Stock illiquidity (search for similar items in EconPapers)
JEL-codes: G12 G18 M41 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316238

DOI: 10.1016/j.frl.2020.101809

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